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OptionFilter setFilter

am looking at

https://www.quantconnect.com/docs/algorithm-reference/universes#Universes-Option-Universes

are there any documentation on

self.SetFilter(universeFunc):

would be great to filter based on forward price instead of spot price. And ideally by delta instead of minStrike and maxStrike

 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hey Andrew,

The SetFilter functions are found in Option.cs. SetFilter(UniverseFunc) takes a function which given an OptionFilterUniverse returns another OptionFilterUniverse.

Here's an example of a UniverseFunc using OptionsFilterUniverse:

def UniverseFunc(self, universe):
return universe.IncludeWeeklys().Strikes(-1, 1).Expiration(timedelta(0), timedelta(1))

  • universe.IncludeWeeklys() - returns an OptionsFilterUniverse with any existing weekly contracts
  • .Strikes(-1, 1) - Filters the weekly OptionsFilterUniverse by strikes and returns another OptionsFilterUniverse
  • .Expiration(timedelta(0), timedelta(1)) - Filters the previous OptionsFilterUniverse by expiration and returns another OptionsFilterUniverse

Unfortunately, it is not currently possible to filter options in universe selection based on greek values. However, it is possible to further filter your options once you retrieve them from the options chain. You can manually filter for greeks or forward prices here.

You can learn more about options in our documentation

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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